Senior IFRS 9 Impairment & Credit Risk Quant

Old Mutual Limited; Johannesburg; On-site; ZAR 900,000 - 1,300,000; Full time

Job summary

Old Mutual Limited in Johannesburg invites applications for a Credit Quantitative Analyst focused on impairment, IFRS 9 and credit risk modelling across portfolio monitoring and regulatory reporting.

You will develop and recalibrate PD, EAD, LGD and macroeconomic models, provide analytics to support risk management, and document methodologies for governance. This role interfaces with senior stakeholders and requires strong data skills.

Qualifications

• Bachelor’s degree in a quantitative discipline is required.
• 4 to 7 years’ experience in credit risk analytics and IFRS 9.
• Experience with impairment model development, recalibration, monitoring or validation.
• Experience with large datasets and analytical programming.

Responsibilities

• Develop and recalibrate PD, EAD, LGD, macroeconomic and valuation models used in impairment calculations.
• Support impairment processes and movement commentary.
• Analyse portfolio trends, economic conditions and market factors for ECL measurement.
• Prepare impairment, credit risk, capital and regulatory reporting outputs.
• Present results to Risk Heads and stakeholders.

Skills

Credit risk analytics

Impairment modelling

IFRS 9

Portfolio monitoring

Regulatory reporting

Data analysis

SAS/SQL/Python/R

Education

Bachelor's degree in Statistics, Mathematics, Actuarial Science, Economics, Finance, Quantitative Risk Management, Data Science

Postgraduate qualification in a quantitative risk, finance or actuarial discipline (advantageous)

Tools

SAS

SQL

Python

R

Power BI

Excel

Job description

Old Mutual Limited in Johannesburg invites applications for a Credit Quantitative Analyst focused on impairment, IFRS 9 and credit risk modelling across portfolio monitoring and regulatory reporting.

You will develop and recalibrate PD, EAD, LGD and macroeconomic models, provide analytics to support risk management, and document methodologies for governance. This role interfaces with senior stakeholders and requires strong data skills.